Estrategias óptimas de inversión y consumo en un mercado con saltos alternados dependientes de los tiempos inter-arribo

dc.contributorSerrano, Rafael
dc.creatorCardenas Torres, Andres Felipe
dc.date.accessioned2019-07-16T13:15:49Z
dc.date.accessioned2019-11-21T18:30:49Z
dc.date.available2019-07-16T13:15:49Z
dc.date.available2019-11-21T18:30:49Z
dc.date.created2019-07-16T13:15:49Z
dc.date.issued2019
dc.identifierhttp://repository.urosario.edu.co/handle/10336/19947
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/3061974
dc.description.abstractIn this paper we study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump market model where the dynamics of asset prices follow a swithching process and the size of the jump and the trend are dependent on the waiting time between jumps, in addition, the trend is dependent on a dichotomous chain with values in the inter-arrival times. We show that the counting process associated to the arrival times has as compensator a Hazard function that is dependent on the inter-arrival times. This implies that the conditional expected value of the process solves a coupled system of Volterra equations of second kind. As an application, the GOP (growth-optimal portfo- lio) case is considered, where the Volterra system is solved by means of numerical methods in the particular cases in which the inter-arrival times are distributed as hyperexponential and Weibull.
dc.languagespa
dc.publisherUniversidad del Rosario
dc.publisherMaestría en Economía
dc.publisherFacultad de Economía
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAbierto (Texto Completo)
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dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
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dc.subjectEcuaciones de Volterra de segundo tipo
dc.titleEstrategias óptimas de inversión y consumo en un mercado con saltos alternados dependientes de los tiempos inter-arribo
dc.typemasterThesis


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